- qData
data.table
or xts
object to be aggregated, containing the intraday quote data of a stock for one day.
- alignBy
character, indicating the time scale in which alignPeriod
is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours", and "ticks".
To aggregate based on a 5 minute frequency, set alignPeriod
to 5 and alignBy
to "minutes"
.
- alignPeriod
positive numeric, indicating the number of periods to aggregate over. E.g. to aggregate
based on a 5 minute frequency, set alignPeriod
to 5 and alignBy
to "minutes"
.
- marketOpen
the market opening time, by default: marketOpen = "09:30:00"
.
- marketClose
the market closing time, by default: marketClose = "16:00:00"
.
- tz
fallback time zone used in case we we are unable to identify the timezone of the data, by default: tz = NULL
. We attempt to extract the timezone from the DT column (or index) of the data, which may fail.
In case of failure we use tz
if specified, and if it is not specified, we use "UTC"